As every renpy game, in your appdata folder (if you're in Win). However, in this case, you don't keep your save files because they're separated chapters.
it's not 100% true.
FIRST a RenPy game looks for saves in %/game's name/game/save folder.
If there are savegames, the game takes saves from there.
If there aren't any savegames, the game looks for saves stored in %user/App_Data/Roaming/Renpy/game's name.
If there are savegames in both locations, always the savegame in game's folder (where .exe is located) has priority.
There are Renpy games which don't even use app_data to store saves at all and only store saves in local save folder